Econometric Theory

This information is for the 2020/21 session.

Teacher responsible

Dr Tatiana Komarova 32L4.24 and Prof Taisuke Otsu


This course is available on the BSc in Econometrics and Mathematical Economics and BSc in Mathematics and Economics. This course is available with permission as an outside option to students on other programmes where regulations permit and to General Course students.


Students must have completed Principles of Econometrics (EC221).

A good knowledge of linear algebra, calculus and statistical theory is essential, and therefore MA100 and ST102 or equivalent is required. Students taking this course who are not in BSc Econometrics and Mathematical Economics or BSc Mathematics and Economics must consult with Dr. Komarova before selecting this course

Course content

Introduction to the asymptotic theory of estimation and inference of economic models; Basics of large sample theory; Estimation of linear regression models (OLS, GMM, GLS); Testing hypotheses and model specifications; Estimation of nonlinear models (MLE, Nonlinear least squares); systems of equations; time series analysis.


15 hours of lectures and 10 hours of classes in the MT. 15 hours of lectures and 10 hours of classes in the LT.

This course is delivered through a combination of classes and lectures totalling a minimum of 50 hours across Michaelmas Term and Lent Term. This year, some or all of this teaching will be delivered through a combination of virtual classes, live streamed (recorded) lectures, and some flipped content delivered as short online videos.

Formative coursework

Written answers to set problems will be expected on a weekly basis. Students are also expected to make positive contributions to class discussions.

Indicative reading

The main text for the lectures is R Davidson & J G MacKinnon, Econometric Theory and Methods,Oxford University Press (2004). Other useful texts include Davidson (2000), Econometric Theory Amemiya (1985), Advanced Econometrics; and Hayashi (2000), Econometrics.


Exam (100%, duration: 3 hours, reading time: 15 minutes) in the summer exam period.

Important information in response to COVID-19

Please note that during 2020/21 academic year some variation to teaching and learning activities may be required to respond to changes in public health advice and/or to account for the situation of students in attendance on campus and those studying online during the early part of the academic year. For assessment, this may involve changes to mode of delivery and/or the format or weighting of assessments. Changes will only be made if required and students will be notified about any changes to teaching or assessment plans at the earliest opportunity.

Key facts

Department: Economics

Total students 2019/20: 14

Average class size 2019/20: 14

Capped 2019/20: No

Value: One Unit

Guidelines for interpreting course guide information

Personal development skills

  • Self-management
  • Problem solving
  • Application of numeracy skills